Arabinoxylans (AXs) are important constituents of hemicelluloses in the endosperm and outer layers of cereal grains, including corn, wheat, rye, barley, oat and rice. The enzymatic hydrolysis of AXs yields arabinoxylan-oligosaccharides. Recently, structure–activity correlations between AX fine structural features and antioxidative activities, prebiotic potentials and immunomodulatory properties have been introduced. This review summarizes recent findings on the structural features of AXs from various cereal origins subjected to different extraction methods. The correlations between fine structural features (molecular mass, bound ferulic acid and arabinosyl substitutional positions) and the AXs’ biological activities (antioxidative activities, prebiotic potentials and immunomodulatory properties) are introduced. The prospects for future research on these topics are also discussed. AXs exhibit very different characteristics, which are dependent on the cereal's origin and the extraction method. The three biological activities of AXs and arabinoxylan-oligosaccharides were closely correlated with their fine structural features. The bound ferulic acid mainly contributes to the antioxidant capacities of AXs. Arabinosyl substitutional position in the xylan backbone can target to alter the microbial population in the gut. The low molecular mass and arabinose substitution at the O-3 position mainly contribute to immunological properties.